Package org.drip.simm.margin

Class BucketAggregate

java.lang.Object
org.drip.simm.margin.BucketAggregate
public class BucketAggregate
extends java.lang.Object
BucketAggregate holds the Single Bucket Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity Margin, as well as the Aggregate Risk Factor Maps. The References are:

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
  • Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN
  • Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
  • Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN
  • International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
It provides the following Functionality:
  • BucketAggregate Constructor
  • Retrieve the Risk Factor Aggregate Map
  • Retrieve the Bucket's Sensitivity Margin Variance
  • Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
  • Compute the ISDA SIMM Position Principal Component Co-variance
  • Compute the FRTB SBA-C Position Principal Component Co-variance

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package ISDA SIMM Risk Factor Margin Metrics

Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • BucketAggregate

      public BucketAggregate​(java.util.Map<java.lang.String,​RiskFactorAggregate> riskFactorAggregateMap, double sensitivityMarginVariance, double cumulativeSensitivityMargin) throws java.lang.Exception
      BucketAggregate Constructor
      Parameters:
      riskFactorAggregateMap - The Risk Factor Aggregate Map
      sensitivityMarginVariance - The Bucket's Sensitivity Margin Variance
      cumulativeSensitivityMargin - The Cumulative Risk Factor Sensitivity Margin
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • riskFactorAggregateMap

      public java.util.Map<java.lang.String,​RiskFactorAggregate> riskFactorAggregateMap()
      Retrieve the Risk Factor Aggregate Map
      Returns:
      The Risk Factor Aggregate Map

    • sensitivityMarginVariance

      public double sensitivityMarginVariance()
      Retrieve the Bucket's Sensitivity Margin Variance
      Returns:
      The Bucket's Sensitivity Margin Variance

    • cumulativeSensitivityMargin

      public double cumulativeSensitivityMargin()
      Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
      Returns:
      The Bucket's Cumulative Risk Factor Sensitivity Margin

    • positionPrincipalComponentCovarianceISDA

      public double positionPrincipalComponentCovarianceISDA()
      Compute the ISDA SIMM Position Principal Component Co-variance
      Returns:
      The ISDA SIMM Position Principal Component Co-variance

    • positionPrincipalComponentCovarianceFRTB

      public double positionPrincipalComponentCovarianceFRTB()
      Compute the FRTB SBA-C Position Principal Component Co-variance
      Returns:
      The FRTB SBA-C Position Principal Component Co-variance